John's answer is good (that list comprehensions are better when you want to iterate over something multiple times). However, it's also worth noting that you should use a list if you want to use any of the list methods. For example, the following code won't work:
def gen():
return (something for something in get_some_stuff())
print gen()[:2] # generators don't support indexing or slicing
print [5,6] + gen() # generators can't be added to lists
Basically, use a generator expression if all you're doing is iterating once. If you want to store and use the generated results, then you're probably better off with a list comprehension.
Since performance is the most common reason to choose one over the other, my advice is to not worry about it and just pick one; if you find that your program is running too slowly, then and only then should you go back and worry about tuning your code.
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